Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0213 |
| Annualized Std Dev | 0.0569 |
| Annualized Sharpe (Rf=0%) | 0.3745 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 2874.0000 |
| NAs | 1.0000 |
| Minimum | -0.0313 |
| Quartile 1 | -0.0019 |
| Median | 0.0002 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0021 |
| Maximum | 0.0445 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0000 |
| Stdev | 0.0036 |
| Skewness | 0.1823 |
| Kurtosis | 13.0921 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0026 |
| Gain Deviation | 0.0024 |
| Loss Deviation | 0.0025 |
| Downside Deviation (MAR=210%) | 0.0090 |
| Downside Deviation (Rf=0%) | 0.0025 |
| Downside Deviation (0%) | 0.0025 |
| Maximum Drawdown | 0.1228 |
| Historical VaR (95%) | -0.0055 |
| Historical ES (95%) | -0.0079 |
| Modified VaR (95%) | -0.0047 |
| Modified ES (95%) | -0.0047 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2012-12-11 | 2013-09-05 | 2020-03-03 | -0.1228 | 1801 | 185 | 1616 |
| 2020-03-09 | 2020-03-18 | 2020-06-22 | -0.1049 | 74 | 8 | 66 |
| 2010-10-26 | 2011-02-08 | 2011-07-19 | -0.0686 | 184 | 73 | 111 |
| 2011-08-11 | 2011-10-12 | 2011-11-07 | -0.0373 | 62 | 44 | 18 |
| 2021-01-29 | 2021-02-25 | NA | -0.0336 | 36 | 19 | NA |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | NA | NA | NA | NA | NA | NA | NA | NA | 0.4 | 0.3 | 0 | -0.4 | 0.4 |
| 2010 | 0.1 | -0.3 | 0 | 0.3 | -0.1 | -0.4 | 0.4 | -0.6 | 0.1 | -0.1 | -0.7 | 0.5 | -0.8 |
| 2011 | 0 | 0.3 | 0.5 | -0.3 | 0.5 | 0.1 | 0.5 | 1 | -0.5 | 1.5 | -0.3 | -0.1 | 3.4 |
| 2012 | -0.3 | -0.5 | -0.4 | -0.1 | 0.7 | -0.8 | 0.2 | 0.4 | 0.1 | 0.1 | 0 | -0.6 | -1.1 |
| 2013 | -0.4 | 0.3 | 0.2 | -0.1 | -0.1 | 0.4 | -0.7 | -0.6 | -0.1 | -0.7 | -0.1 | -0.2 | -2.1 |
| 2014 | 0.2 | 0.1 | -0.2 | 0.6 | -0.5 | -0.3 | 0.3 | -0.3 | 0.9 | 0.1 | 0 | 0.6 | 1.5 |
| 2015 | 0.7 | 0.7 | 0.8 | -0.5 | -0.6 | -0.7 | 0.1 | -0.3 | 0.6 | 0.3 | 0.4 | -0.1 | 1.3 |
| 2016 | 0.4 | -0.4 | 0.2 | 0.1 | -0.1 | 0.8 | -0.8 | -0.3 | -0.2 | -0.1 | -0.5 | 0.3 | -0.6 |
| 2017 | -0.1 | -0.6 | 0.3 | -0.7 | 0 | 0 | 0.1 | -0.1 | -0.1 | -0.1 | -0.1 | 0.3 | -1.2 |
| 2018 | -0.5 | 0.3 | 0.2 | 0.1 | -0.6 | 0.2 | -0.6 | 0 | -0.1 | -0.3 | 0.2 | 0.2 | -0.9 |
| 2019 | -0.3 | -0.3 | -0.4 | -0.2 | 0.7 | -0.6 | 0.2 | -0.4 | -0.2 | 0.1 | -0.3 | 0.1 | -1.6 |
| 2020 | 0.4 | 0.3 | 0.2 | -0.6 | 0 | 0 | 0.3 | -0.2 | -0.3 | -0.2 | -0.3 | 0.4 | 0.1 |
| 2021 | -0.1 | -0.2 | 0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.1 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2009-09-09 50.2 SPY 104. 0.0077 0.0352 0.0271 0.0988 -0.158 -0.202 -0.0786 GLD 97.1 -0.0036 0.0339
2 2009-09-11 50.6 SPY 105. -0.0002 0.0409 0.0394 0.102 -0.165 -0.197 -0.0733 GLD 98.8 0.0111 0.0135
3 2009-09-14 50.4 SPY 105. 0.0049 0.0316 0.0365 0.133 -0.165 -0.200 -0.0719 GLD 98.0 -0.0083 0.0044
4 2009-09-15 50.4 SPY 106. 0.0042 0.027 0.0489 0.154 -0.120 -0.200 -0.0699 GLD 98.9 0.00960 0.0151
5 2009-09-16 50.5 SPY 107. 0.0151 0.0346 0.0916 0.172 -0.121 -0.188 -0.0486 GLD 99.9 0.0102 0.0292
6 2009-09-17 50.5 SPY 107. -0.0015 0.0226 0.0814 0.162 -0.081 -0.188 -0.0529 GLD 99.3 -0.0057 0.0168
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
